SANE's research, which focused exclusively on depression, found Australians on average had taken 14.6 days' sick leave for their last depressive episode, compared to the 35.9 days reported by workers in Europe.

Of those who chose not to disclose they were suffering depression, around half felt it was a private issue that was none of their employer's business.

"We know Australians in the workplace with depression don't feel comfortable raising the issue," he said.

"In Australia was there was a significantly higher level of concern that Australian employers wouldn't understand the issue and wouldn't know how to support them.

"What's interesting is that this seems to be a particular problem in the workplace because when people were asked whether they would disclose their illness to a partner or family friend, we got exactly the same [results] in Australia as we did in Europe."

SANE and other mental health organisations are holding a national workshop in Sydney today to develop recommendations from the study.

You can do things in terms of increasing awareness and understanding, but unless you get those changes in attitude around stigma then you don't get changes in behaviour.

SANE chief executive Jack Heath

Mr Heath says there needs to be a concerted campaign targeting stigma surrounding mental illness in the workplace.

"We've been good in increasing awareness - what people would call 'mental-health literacy' around depression; we've done phenomenal work around that, but we haven't had the shift in the terms of stigma that we need," he said.

"You can do things in terms of increasing awareness and understanding, but unless you get those changes in attitude around stigma then you don't get changes in behaviour."

Employers obligated to provide 'psychologically safe workplace'

Beyond Blue chief executive Kate Carnell says the statistics are "very worrying", but it would be illegal for an employer to sack somebody on the basis of a mental health issue.

Ms Carnell says Australian employers have a legal responsibility to provide a "psychologically safe workplace".

"Employers have an obligation under occupational health and safety legislation to have a mental health friendly workplace," she said.

"It's important for workplaces to have mental-health policy in place and also to have leadership - to make it clear to employees that they will treat mental health the same way they treat physical health issues."

Ms Carnell agrees that stigma in the workplace is still a particular issue.

It's important for workplaces to have mental-health policy in place and also to have leadership - to make it clear to employees that they will treat mental health the same way they treat physical-health issues.

Beyond Blue chief executive Kate Carnell

"What's important is that workplaces make it clear that we encourage employees to put their hands up early, and if they start to struggle to let their supervisors know and for business to have in place a method to support those people," she said.

"Stigma is still a real issue - we are getting better as a community but we are not there yet.

"[We] need to focus on reducing that stigma, but particularly in the workplace."

Ms Carnell says reducing mental illness issues in the workplace will not only benefit workers, but is essential to boosting productivity in Australia.

"If you can support [workers] early then there is a good chance they won't end up having to have time of, which is of course a cost to the workplace and the employee as well," she said.

"The cost to Australian workplaces now exceeds $12 billion. Last year, stress-related work compensation issues topped $10 billion, so mental-health issues are costing Australian businesses significant dollars.

"We need to make it clear to employers that having a mental-health safe workplace is not only the law, but it will also help increase productivity, achieve their bottom line, reduce staff turnover and absenteeism, so everybody is a winner."

The National Mental Health Commission has convened The Mentally Healthy Safe Workplace Alliance, which will launch a national campaign in January.

Beyond Blue estimates that 3 million Australians are currently living with depression or anxiety.